I came across an interesting pair of VIX ETPs, VXUP and VXDN. This new product referred to as "paired class shares" ETFs are quite different from traditional ETPs. Some interesting highlights from the ...

This question is about something observed hands on data that makes me a little confused.
Consider the term structure of futures on VIX of Monday, December 27, 2010. You can find it at the CFE market ...

I'm a VIX newbie and I'm trying to understand why the VIX futures market is usually in a state of contango.
All I can figure is that the sellers of VIX futures contracts demand high "prices" (because ...

Where I can high-frequency intraday data on VIX? Is it available on Bloomberg Terminals? I see many questions posted on Quant.stackexechange about VIX options therefore I am sure someone knows where I ...

If the spot VIX is the implied vol off of the options on the SPX Index. But which tradable product would that be? Can’t you technically only buy ETF’s that track the SPX (SPY) or buy the ES futures. ...

Since the VIX is an annualized volatility, to convert it into other frequencies we must divide by the square root of time. So to convert a VIX of 15 into daily volatility, we would need to divide
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ok, so let assume I can predict the daily change in the VIX itself (in points) every day. what would be the best way to play this with OPTIONS? well, obviously VIX options, but if I can look at the ...

Pricing of VIX futures is complicated, because it is not possible to use a standard
hedging argument to get a value similar to stock futures.
What different approaches for pricing VIX futures exist? ...

I am guessing the short answer to this question is "use the chain rule and linearity of the derivative," but I am looking for more specific advice on how to compute the derivatives of a VIX futures ...

I am wondering how UBS hedges its exposure to its ETN XVIX. Unless I am grossly overestimating the trading costs, executing the strategy they describe in their prospectus with futures would be quite ...

I don't quite understand how anyone would invest in VXX (asides from short-term trades)... Since the VIX term structure is generally in contango, the VXX is doomed to bleed to death.
Therefore, how ...

Forward volatility implied by SPX options, and that of VIX futures get out of line. If there existed VIX SQUARED futures they could easily be replicated (and arbitraged) with a strip of SPX options. ...